Achieving Smooth Asymptotics for the Prices of European Options in Binomial Trees
نویسنده
چکیده
A new binomial approximation to the Black–Scholes model is introduced. It is shown that for digital options and vanilla European call and put options that a complete asymptotic expansion of the error in powers of n−1 exists. This is the first binomial tree for which such an asymptotic expansion has been shown to exist.
منابع مشابه
Achieving Higher Order Convergence for the Prices of European Options in Binomial Trees
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تاریخ انتشار 2007